本文選題：人民幣匯率 + 行業(yè)板塊指數(shù)��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：隨著人民幣匯率體制改革的推進(jìn)，包括人民幣合格境外機(jī)構(gòu)投資者(RQFII)機(jī)制的出臺(tái)、強(qiáng)制結(jié)售匯制度的廢止等，人民幣升值預(yù)期不斷強(qiáng)化，境內(nèi)機(jī)構(gòu)及個(gè)人持有和使用外匯自主權(quán)逐漸增強(qiáng)，人民幣匯率對(duì)國(guó)民經(jīng)濟(jì)和行業(yè)發(fā)展的影響愈來(lái)愈大。匯率與股價(jià)之間的溢出效應(yīng)和聯(lián)動(dòng)機(jī)制一直是國(guó)內(nèi)外學(xué)術(shù)界和金融界的關(guān)注熱點(diǎn)，不同行業(yè)的實(shí)體經(jīng)濟(jì)發(fā)展?fàn)顩r和行業(yè)股市價(jià)格波動(dòng)是否會(huì)影響匯率的預(yù)期走勢(shì)是一個(gè)較為新穎的研究方向。了解和把握人民幣匯率與股市行業(yè)板塊指數(shù)間聯(lián)動(dòng)效應(yīng)，有助于處于不同行業(yè)背景下的上市公司及企業(yè)，知悉匯率變動(dòng)對(duì)其股價(jià)表現(xiàn)、市場(chǎng)價(jià)值等方面的影響，對(duì)于提高企業(yè)的外匯風(fēng)險(xiǎn)管理能力、完善我國(guó)金融市場(chǎng)改革具有參考意義和實(shí)踐價(jià)值。 本文采用小波分析和多元GARCH-BEKK模型相結(jié)合的研究方法，，測(cè)度人民幣匯率與股市行業(yè)板塊指數(shù)之間的波動(dòng)相關(guān)性和聯(lián)動(dòng)效應(yīng)，不僅考慮到人民幣匯率與股市行業(yè)板塊指數(shù)間聯(lián)動(dòng)效應(yīng)的雙向傳遞效應(yīng)，并且運(yùn)用小波多分辨分解的特性及方法來(lái)刻畫(huà)不同的交易周期下匯率和各個(gè)行業(yè)板塊指數(shù)序列間的聯(lián)動(dòng)效應(yīng)，具體測(cè)度了兩者之間聯(lián)動(dòng)性的強(qiáng)度、方向和周期性。 實(shí)證結(jié)果表明，人民幣匯率與所有樣本行業(yè)板塊指數(shù)間都具有不同程度和周期性質(zhì)交互影響的聯(lián)動(dòng)效應(yīng)；整體來(lái)說(shuō)匯率對(duì)股市行業(yè)板塊指數(shù)的溢出效應(yīng)強(qiáng)度大于行業(yè)板塊指數(shù)對(duì)匯率自身，這種傳導(dǎo)效應(yīng)在較短交易周期下表現(xiàn)更為顯著；基于實(shí)體經(jīng)濟(jì)性質(zhì)的不同，匯率變動(dòng)對(duì)不同行業(yè)及其企業(yè)的影響并不一致；隨著近年來(lái)股市行業(yè)板塊市值的擴(kuò)大和價(jià)格表征作用的加強(qiáng)，大多數(shù)行業(yè)板塊指數(shù)逐漸對(duì)匯率的價(jià)格走勢(shì)和波動(dòng)產(chǎn)生顯著的均值溢出效應(yīng)和波動(dòng)溢出效應(yīng)。
[Abstract]:With the promotion of the reform of the RMB exchange rate system, including the introduction of the RQFII-based mechanism for qualified foreign institutional investors of the renminbi, and the abolition of the mandatory foreign exchange settlement and sale system, the expectation of RMB appreciation has been continuously strengthened.The autonomy of holding and using foreign exchange by domestic institutions and individuals is gradually strengthened, and the RMB exchange rate has more and more influence on the development of national economy and industry.The spillover effect and linkage mechanism between exchange rate and stock price have always been the focus of attention in academic and financial circles both at home and abroad.The development of real economy in different industries and whether the fluctuation of stock market price will affect the expected trend of exchange rate is a new research direction.Understanding and grasping the linkage effect between the RMB exchange rate and the stock market sector sector index will help listed companies and enterprises in different industry backgrounds to know the impact of exchange rate changes on their stock price performance, market value, etc.It has reference significance and practical value for improving the foreign exchange risk management ability of enterprises and perfecting the reform of financial market in our country.In this paper, wavelet analysis and multivariate GARCH-BEKK model are used to measure the volatility correlation and linkage effect between RMB exchange rate and stock market sector index.Considering not only the two-way transfer effect of the linkage effect between the RMB exchange rate and the stock market sector sector index,The characteristics and methods of wavelet Multiresolution decomposition are used to describe the linkage effect between the exchange rate and the index series of various sectors in different trading cycles. The intensity, direction and periodicity of the interaction between the two are measured.The empirical results show that there is a linkage effect between the RMB exchange rate and all the industry sector indices.On the whole, the spillover effect of the exchange rate on the industry sector index of stock market is stronger than that of the industry plate index on the exchange rate itself, and the conduction effect is more significant in the short trading cycle.The impact of exchange rate movements on different industries and their enterprises has not been consistent; with the expansion of market value, the stock market sector, and the strengthening of the role of price representation in recent years,Most industry sector indices gradually produce significant mean spillover effect and volatility spillover effect on the price trend and volatility of exchange rate.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6;F832.51

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